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FRM二级冲刺练习：考生常见易错题汇总（29）

来源：高顿网校 2015-11-12

　　2016年FRM报名在即，各位考生是否已经开始规划自己的备考安排？各位考生想顺利通过FRM考试，除了掌握专业知识和答题技巧之外，还可以关注高顿网校的精品网课，帮助考生更好地理解FRM知识！点击进入直播>>　　1.Which of the following statements regarding counterparty credit risk are correct?

　　I. Expected positive exposure is the highest expected exposure over a specified interval.

　　II. Wrong-way exposures are positively correlated with the counterparty's credit quality.

　　III. Credit triggers are early settlement agreements that require counterparties to settle and terminate trades if the credit rating of a party falls below a specified level.

　　IV. Right-way exposures are negatively correlated with the counterparty's credit quality.

　　V. Cross-product netting is a provision that allows counterparties to net payments across different products.

　　VI. Collateral agreements require that specified amounts of liabilities be transferred to counterparty if exposures excecd a specified threshold.

　　A. III and V only.

　　B. I, III, and V.

　　C. I, II, and IV.

　　D. III, V, and VI.

　　2.A knock-in barrier option is harder to hedge when it is:

　　A. In the money.

　　B. Out of the money.

　　c. At the barrier and near maturity.

　　D. At the inception ofthe trade.

　　3.A reverse knock-out option is more difficult to hedge than a standard option because the:

　　A. Market in such options is very illiquid.

　　B. Value changes dramatical1y at the barrier point.

　　c. Black-Scholes model does not apply to pricing such options.

　　D. Gamma of the option continually varies throughout the range of relevant strikes.

　　Answer:

　　1.A

　　Credit triggers are early settlement agreements that require counterparties to settle and terminate trades if the credit rating of a party falls below a specified level. Cross-product netting is a provision that allows counterparties to net payments across different products. Expected positive exposure is the average expected exposure over a specified interval. Wrong-way exposures are negatively correlated with the counterparty's credit quality Right-way exposures are positively correlated with the counterparty 's credit quality. Collateral agreements require that specified amounts of assets be transferred to a counterparty if exposures exceed a specified threshold.

　　2.C

　　Owing to their inherent discontinuities, both knock-in and knock-out barrier options are relatively difficult to hedge (and value) when the spot price is c10se to the barrier price and the contract is near maturity.

　　3.B

　　The value relationship is discontinuous near the barrier, so hedge ratios are very unstable at that level.

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